Wavelet Estimators For Long Memory In Stock Markets
AbstractIn this paper, fractional integrating dynamics in the return and the volatility series of stock market indices are investigated. The investigation is conducted using wavelet ordinary least squares, wavelet weighted least squares and the approximate Maximum Likelihood estimator. It is shown that the long memory property in stock returns is approximately associated with emerging markets rather than developed ones while strong evidence of long range dependence is found for all volatility series. The relevance of the wavelet-based estimators, especially, the approximate Maximum Likelihood and the weighted least squares techniques is proved in terms of stability and estimation accuracy.
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Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.
Volume (Year): 12 (2009)
Issue (Month): 03 ()
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Web page: http://www.worldscinet.com/ijtaf/ijtaf.shtml
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- Heni Boubaker & Anne Péguin-Feissolle, 2013. "Estimating the Long-Memory Parameter in Nonstationary Processes Using Wavelets," Computational Economics, Society for Computational Economics, vol. 42(3), pages 291-306, October.
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